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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	119.7971	5.43***
α ARCH Response to squared shocks	0.1700	65.51***
β GARCH Volatility persistence	0.9959	1,451.76***
ν DF Student-t tail thickness	2.9523	61.19***

V-Lab

NX Filtration N.V. GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other NX Filtration N.V. Analyses